for running a python program or any program for that matter you have a create and save a file containing the code

• open visual studio code
• Under File -> New File

• give a name to your file as file_name.py , press enter

• save/create the file as file_name.py

• write your python program

• open the terminal

• type python file_name.py

• press enter
• here you have your python program running

without saving a file be it any programming language, you can not execute it,

also to run a python open any terminal in any directory and type => python 'path\to\file.py', this executes the code if python is installed and correctly setup, also the file.py exists and the path is correct

using visual studio is one of the ways to create, save and execute python programs